Remove Shortcut From Pen Drive

Click on "Start" -->Run --> type cmd and click on OK.
Here I assume your pen drive letter as G:
Enter this command.

attrib -h -r -s /s /d g:\*.*

You can copy the above command --> Right-click in the Command Prompt and
paste it.
Note : Don't forget to replace the letter g with your pen drive letter.
Now press "Enter".
Now check for your files and folder in Pen Drive.